Estimated DGE Models and Forecasting Accuracy: A Preliminary Investigation with Canadian Data
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Bibliographic InfoPaper provided by Bank of Canada in its series Working Papers with number 02-18.
Length: 40 pages Abstract: This paper applies the hybrid dynamic g eneral-equilibrium, vector autoregressive (DGE-VAR) model developed by Ireland (1999) to Canadian time series. It presents the first Canadian evidence that a hybrid DGE-VAR model may have better out-of-sample forecasting accuracy than a simple, structure-free VAR model. The evidence suggests that estimated DGE models have the potential to add good forecasting ability to their natural strength of adding structure to an economic model.
Date of creation: 2002
Date of revision:
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Business fluctuations and cycles; Economic models;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-07-31 (All new papers)
- NEP-DGE-2002-07-31 (Dynamic General Equilibrium)
- NEP-ETS-2002-07-31 (Econometric Time Series)
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